- Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi
- Vol: 43 Issue: 1
- THE IMPACT OF EXCHANGE RATES ON STOCK PRICES FOR TURKEY: AN ASYMMETRIC NON-LINEAR COINTEGRATION ANAL...
THE IMPACT OF EXCHANGE RATES ON STOCK PRICES FOR TURKEY: AN ASYMMETRIC NON-LINEAR COINTEGRATION ANALYSIS
Authors : Emre Ürkmez, Ömer Faruk Bölükbaşi
Pages : 42-56
Doi:10.14780/muiibd.960267
View : 10 | Download : 6
Publication Date : 2021-07-01
Article Type : Research
Abstract :This study investigates the impact of exchange rates on stock indices for Turkey and examines whether these impacts are asymmetric. For this purpose, the non-linear autoregressive distributed lag (NARDL) model is used as an asymmetric cointegration method. In the study covering the period 2005-2020, BIST-100, BIST-100 All Shares and four stock sector indices are included in the models as stock indices representing. Thus, the response of the stock indices of the firms in different sectors to the movements in exchange rates is analyzed. The findings indicate that the impacts of exchange rate movements on the BIST-100 All Shares index and the service, industry, and technology sector indices in the short-term are asymmetrical, and the impacts on the technology sector index in the long-term are asymmetrical.Keywords : Sectoral Stock Indices, Exchange Rate, Asymmetry Cointegration